forum.alglib.net

Dear all,

I can estimate the diag of Hessian, and want use it as the preconditioner. The manual says that the preconditioner can be changed "on the fly", so I estimate it after each iteration (in the report call back function), and use minlbfgssetprecdiag to set it. But I find that only the first iteration use the preconditioner, and the others ignore it, and finally leads to poorer converence than the default preconditioner.

I want to know what is the default preconditioner, how to use the diag of H as the preconditioner on the fly properly.

Thank you in advance!

Best,

Jin